Mean returns is a trend detection and overextension indicator. It oscillates around the value of 0. The mean return line in reality is the orange one as well as the blue one. The difference is in the number of data points into the past that they consider. Since the value of those lines is the expected value of the returns in period t, then if it's over 0 the...
Given ANY in- or out-of-sample time series, including purely random, synthetic data, anyone can generate (inflate) ANY Sharpe Ratio by repeatedly applying different trading or investment strategies to the same time series sample! By definition, purely random data has no discernible structure. Consequently, no method can exist to predict such a sequence - I.e.,...
A price guess has 33% to be correct because the price has only three directions. The price of a security may trade higher, may trade in a narrow range, or trade lower. Thank you for reading! Greenfield Disclosure: I am not a financial advisor. This is not a recommendation, not a representation, and not a solicitation. You should do your...